1
  2
  3
  4
  5
  6
  7
  8
  9
 10
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
//! John Ehlers LaguerreRSI
//! from: http://mesasoftware.com/papers/TimeWarp.pdf

use std::collections::VecDeque;

use super::View;
use crate::Echo;

/// John Ehlers LaguerreRSI
/// from: http://mesasoftware.com/papers/TimeWarp.pdf
#[derive(Clone)]
pub struct LaguerreRSI<V> {
    view: V,
    value: f64,
    gamma: f64,
    l0s: VecDeque<f64>,
    l1s: VecDeque<f64>,
    l2s: VecDeque<f64>,
    l3s: VecDeque<f64>,
}

impl<V> std::fmt::Debug for LaguerreRSI<V>
where
    V: View,
{
    fn fmt(&self, fmt: &mut std::fmt::Formatter<'_>) -> Result<(), std::fmt::Error> {
        write!(
            fmt,
            "LaguerreRSI(value: {}, gamma: {}, l0s: {:?}, l1s: {:?}, l2s: {:?}, l3s: {:?})",
            self.value, self.gamma, self.l0s, self.l1s, self.l2s, self.l3s
        )
    }
}

/// Create a new LaguerreRSI with a given window length
#[inline(always)]
pub fn new_final(window_len: usize) -> LaguerreRSI<Echo> {
    LaguerreRSI::new(Echo::new(), window_len)
}

impl<V> LaguerreRSI<V>
where
    V: View,
{
    /// Create a new LaguerreRSI with a chained View
    /// and a given sliding window length
    #[inline]
    pub fn new(view: V, window_len: usize) -> Self {
        LaguerreRSI {
            view,
            value: 0.0,
            gamma: 2.0 / (window_len as f64 + 1.0),
            l0s: VecDeque::new(),
            l1s: VecDeque::new(),
            l2s: VecDeque::new(),
            l3s: VecDeque::new(),
        }
    }
}

impl<V> View for LaguerreRSI<V>
where
    V: View,
{
    fn update(&mut self, val: f64) {
        self.view.update(val);
        let val = self.view.last();

        if self.l0s.len() >= 3 {
            self.l0s.pop_front();
            self.l1s.pop_front();
            self.l2s.pop_front();
            self.l3s.pop_front();
        }

        if self.l0s.len() < 2 {
            self.l0s.push_back(0.0);
            self.l1s.push_back(0.0);
            self.l2s.push_back(0.0);
            self.l3s.push_back(0.0);
            return;
        } else {
            let last = self.l0s.len() - 1;
            self.l0s
                .push_back((1.0 - self.gamma) * val + self.gamma * self.l0s.get(last - 1).unwrap());
            self.l1s.push_back(
                -self.gamma * self.l0s.get(last).unwrap()
                    + self.l0s.get(last - 1).unwrap()
                    + self.gamma * self.l1s.get(last - 1).unwrap(),
            );
            self.l2s.push_back(
                -self.gamma * self.l1s.get(last).unwrap()
                    + self.l1s.get(last - 1).unwrap()
                    + self.gamma * self.l2s.get(last - 1).unwrap(),
            );
            self.l3s.push_back(
                -self.gamma * self.l2s.get(last).unwrap()
                    + self.l2s.get(last - 1).unwrap()
                    + self.gamma * self.l3s.get(last - 1).unwrap(),
            );
        }
        let last = self.l0s.len() - 1;

        let mut cu: f64 = 0.0;
        let mut cd: f64 = 0.0;
        if self.l0s.get(last) >= self.l1s.get(last) {
            cu = self.l0s.get(last).unwrap() - self.l1s.get(last).unwrap();
        } else {
            cd = self.l1s.get(last).unwrap() - self.l0s.get(last).unwrap();
        }
        if self.l1s.get(last) >= self.l2s.get(last) {
            cu += self.l1s.get(last).unwrap() - self.l2s.get(last).unwrap();
        } else {
            cd += self.l2s.get(last).unwrap() - self.l1s.get(last).unwrap();
        }
        if self.l2s.get(last) >= self.l3s.get(last) {
            cu += self.l2s.get(last).unwrap() - self.l3s.get(last).unwrap();
        } else {
            cd += self.l3s.get(last).unwrap() - self.l2s.get(last).unwrap();
        }

        if cu + cd != 0.0 {
            self.value = cu / (cu + cd);
        }
    }

    #[inline(always)]
    fn last(&self) -> f64 {
        return self.value;
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::plot::plot_values;
    use crate::test_data::TEST_DATA;

    #[test]
    fn laguerre_rsi() {
        let mut lrsi = new_final(16);
        for v in &TEST_DATA {
            lrsi.update(*v);
            let last = lrsi.last();
            assert!(last <= 1.0);
            assert!(last >= -1.0);
        }
    }

    #[test]
    fn laguerre_rsi_plot() {
        let mut lrsi = new_final(16);
        let mut out: Vec<f64> = Vec::new();
        for v in &TEST_DATA {
            lrsi.update(*v);
            out.push(lrsi.last());
        }
        // graph the results
        let filename = "img/laguerre_rsi.png";
        plot_values(out, filename).unwrap();
    }
}